Fact sheet: AQR Diversified Risk Premia

Fund information
Fund name
AQR Diversified Risk Premia A USD
Fund manager company
FundRock Management Company S.
Fund type
No data available.
Fund managers
  • Jacques A. Friedmansince 01/12/2016
  • John Husssince 01/12/2016
  • Michael A. Mendelsonsince 01/12/2016
  • Yao Hua Ooisince 01/12/2016
Fund objective
The investment objective of the Fund is to provide diversified exposure to a set of traditional and alternative risk premia, generating returns for investors in a transparent and liquid vehicle which has a low correlation to traditional asset classes.
Benchmark
No data available.
Investment style
Multi Strategy
Investment method
Mixed
Quick stats
1 Year return
-
1 Year rank in sector
-
Sector
FO Hedge/Stru Prod - Mixed
Yield
-
Fund size
£0m
Top in this sector
Fund name1 Year
H2O MultiStrategies27.5%
GLG Mkt Neutral25.4%
Castellain Value23.2%
LFIS VisionPremiaOpps18.8%
Pictet PAF Distressed17.7%
...more in FO Hedge/Stru Prod - Mixed

Performance snapshot

Holdings snapshot

Performance vs Sector

Cumulative performance
 1 mth3 mth6 mth1 yr3 yr5 yr
Fund-1.8%1%----
Sector-0.3%0.6%0.3%0.6%3.6%6.2%
Rank within sector123 / 13364 / 154----
Quartile4th2nd
Calendar performance
 YTD - 20172016201520142013
Fund1.2%----
Sector0.7%-0.5%-0.6%5.1%1.4%
Rank within sector59 / 152----
Quartile2nd
Risk statistics
Alpha
?Alpha is a measure of a fund's over- or under-performance by comparison to its benchmark. If the Alpha is 5, the fund has outperformed its benchmark by 5%; so the greater the Alpha, the greater the outperformance.
-
Beta
?Beta estimates a fund's volatility by comparison to that of its benchmark. A fund with a beta close to 1 means that the fund will move generally in line with the benchmark. Higher than 1 and the fund is more volatile than the benchmark and vice versa.
-
Sharpe
?This commonly-used measure calculates the level of return over and above the return of a notional risk-free investment, such as cash. The difference in returns is then divided by the fund's volatility. The resulting ratio is an indication of the amount of excess return generated per unit of risk.
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Volatility
?Volatility (or standard deviation), when applied to an investment fund, expresses its risk. It shows how widely a range of returns varied from the fund's average return over a particular period. For example, if a fund had an average return of 5%, and its volatility was 15, this would mean that the range of its returns over the period had swung between +20% and -10%.
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Tracking error
?This measures the standard deviation of a fund's excess returns over the returns of an index or benchmark portfolio. As such, it can be an indication of 'riskiness' in the manager's investment style. A Tracking Error below 2 suggests a passive approach. At 3 and above the the manager will be deploying a more active investment style.
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Information ratio
?This is a useful risk-adjusted measure of actively managed fund performance. It is calculated by deducting the returns of the fund's benchmark from the fund's overall returns, then dividing the result by its tracking error. The higher the Information Ratio the better. It is generally considered that a figure of 0.5 reflects a good performance, 0.75 very good, and 1.00 outstanding.
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R-Squared
?An indication of how closely correlated a fund is to an index or a benchmark. Values for R-Squared range between 0 and 1, with 0 indicating no correlation at all and 1 showing a perfect match. Values upwards of 0.7 suggest that the fund's behaviour is increasingly linked to its benchmark.
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Price movement
52 week high1057.95
52 week low1000
Current bid price-
Current offer price-
Current mid price1032.41
Region
No data available.
Industry sector
No data available.
Asset type
No data available.
Individual holdings
No data available.
Management
Fund manager group
RBS
Fund manager company
FundRock Management Company S.
Fund type
No data available.
Fund objective
The investment objective of the Fund is to provide diversified exposure to a set of traditional and alternative risk premia, generating returns for investors in a transparent and liquid vehicle which has a low correlation to traditional asset classes.
Benchmark
No data available.
Investment style
Multi Strategy
Investment method
Mixed
Fund managers
NameSinceBiography
Jacques A. Friedman01/12/2016Jacques is a Principal and head of AQR’s Global Stock Selection team. In this role, he is involved in all aspects of research, portfolio management and strategy development for the firm’s equity products and strategies. He is also a member of both the firm’s Strategic Planning and Risk Committees. Prior to joining AQR at its inception in 1998, Jacques was with Goldman, Sachs & Co., where he developed quantitative stock-selection strategies within the asset management division. Before joining Goldman, he was pursuing a Ph.D. in applied mathematics at the University of Washington, where his research interests ranged from mathematical physics to quantitative methods for sports handicapping. Jacques earned a B.S. in applied mathematics from Brown University and an M.S. in applied mathematics from the University of Washington.
John Huss01/12/2016John is a senior researcher on AQR's Global Asset Allocation team and a portfolio manager for the firm's Alternative Total Return strategies. In these roles, he manages macroeconomic and portfolio construction research for Risk Parity and other asset allocation strategies. Prior to rejoining AQR, where he first worked from 2004 to 2008, he was a vice president in RBC's Global Arbitrage and Trading division and a systematic portfolio manager for Tudor Investment Corp. John earned a B.S. in mathematics from the Massachusetts Institute of Technology.
Michael A. Mendelson01/12/2016Michael is Principal of AQR’s risk parity strategies and a member of both the firm’s strategic planning and risk committees. Prior to AQR, Michael was a managing director at Goldman Sachs & Co., where he founded the quantitative trading group. He has been a member of the Managed Funds Association’s board of directors and Chairman of its Trading and Markets Committee and is currently Chairman of its Government Affairs Committee. Michael earned an S.B. in mathematics, an S.B. in management, an S.B. in chemical engineering and an S.M. in chemical engineering, all from the Massachusetts Institute of Technology, and an M.B.A. from the University of California at Los Angeles.
Yao Hua Ooi01/12/2016Yao Hua is a Principal on AQR’s Global Asset Allocation team, focusing on research and portfolio management of macro-related strategies that include commodities, risk parity and managed futures. His research has been published in the Journal of Financial Economics and the Journal of Investment Management. He was named the 2013 Alternatives Fund Manager of the Year by Morningstar for his work on managed futures, and shared the 2013 Whitebox Prize for his work on time series momentum. Yao Hua is an alumnus of the Jerome Fisher Program in Management and Technology at the University of Pennsylvania, where he earned a B.S. in economics and a B.S. in engineering, graduating summa cum laude in both.
Compliance
Transparent for Austrian Tax, Reporting Fund Status
Domicile
No data available.
Fund for sale in
Austria, Belgium, Germany, Denmark, Spain, Finland, France, United Kingdom, Ireland, Iceland, Italy, Luxembourg, Netherlands, Norway, Offshore, Sweden
AQR Diversified Risk Premia A CHF
Initial charge-
Annual charge1.1%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)1.11%
Bid price-
Offer price-
Mid price-
CurrencyCHF
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0N
AQR Diversified Risk Premia A EUR
Initial charge-
Annual charge1.1%
Min single investment£800,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)1.11%
Bid price-
Offer price-
Mid price-
CurrencyEUR
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0O
AQR Diversified Risk Premia A GBP
Initial charge-
Annual charge1.1%
Min single investment£700,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)1.11%
Bid price-
Offer price-
Mid price-
CurrencyGBP
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0P
AQR Diversified Risk Premia A USD
Initial charge-
Annual charge1.1%
Min single investment£1,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)1.11%
Bid price-
Offer price-
Mid price1032.41
CurrencyUSD
Price updated29/03/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0Q
AQR Diversified Risk Premia B CHF
Initial charge-
Annual charge0.86%
Min single investment£500,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.87%
Bid price-
Offer price-
Mid price-
CurrencyCHF
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0R
AQR Diversified Risk Premia B EUR
Initial charge-
Annual charge0.86%
Min single investment£400,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.87%
Bid price-
Offer price-
Mid price-
CurrencyEUR
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0S
AQR Diversified Risk Premia B GBP
Initial charge-
Annual charge0.86%
Min single investment£333,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.87%
Bid price-
Offer price-
Mid price1030.58
CurrencyGBP
Price updated29/03/2017
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0T
AQR Diversified Risk Premia B USD
Initial charge-
Annual charge0.86%
Min single investment£500,000,000
Min regular saving£0
Available in ISANo
Ongoing charge (OCF)-
Total expense ratio (TER)0.87%
Bid price-
Offer price-
Mid price-
CurrencyUSD
Price updated01/01/1900
TypeAccumulation
Institutional or retail classInstitutional
Domicile-
Citi codeNT0U
Data provided by

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